Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1107 |
| Annualized Std Dev | 0.4206 |
| Annualized Sharpe (Rf=0%) | -0.2633 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3478.0000 |
| NAs | 1.0000 |
| Minimum | -0.3644 |
| Quartile 1 | -0.0089 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0005 |
| Quartile 3 | 0.0089 |
| Maximum | 0.2983 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0010 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0007 |
| Stdev | 0.0265 |
| Skewness | -0.0106 |
| Kurtosis | 30.2180 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0187 |
| Gain Deviation | 0.0220 |
| Loss Deviation | 0.0222 |
| Downside Deviation (MAR=210%) | 0.0228 |
| Downside Deviation (Rf=0%) | 0.0188 |
| Downside Deviation (0%) | 0.0188 |
| Maximum Drawdown | 0.9223 |
| Historical VaR (95%) | -0.0323 |
| Historical ES (95%) | -0.0625 |
| Modified VaR (95%) | -0.0276 |
| Modified ES (95%) | -0.0276 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-04 | 2020-03-19 | NA | -0.9223 | 3475 | 3222 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | 0.5 | 0 | -2.6 | 5.6 | -0.6 | -1.3 | 2.8 | -0.7 | 3.6 |
| 2008 | 2.3 | -0.6 | 2.4 | 0 | -0.1 | -1.9 | 2.5 | 0.4 | 2.1 | 3.1 | -7.3 | 4.8 | 7.5 |
| 2009 | -1.9 | -4.5 | 10.8 | 2.4 | 2.4 | -0.2 | 0.6 | -1 | -0.9 | -1.4 | 2.3 | 0.7 | 8.8 |
| 2010 | 1 | 2 | 0.6 | -2.6 | 4.2 | -4 | -0.3 | 6 | -0.4 | 0.5 | 0.8 | -0.4 | 7.2 |
| 2011 | 0.6 | -0.1 | -1.3 | 0.4 | 0.5 | 1.7 | -0.7 | -2.7 | -1.5 | -2.6 | 2.1 | -0.3 | -4.1 |
| 2012 | 1.7 | -0.1 | 1 | 1 | -3 | 1.2 | -0.4 | 2.3 | 0 | 1 | 1.3 | -0.8 | 5.2 |
| 2013 | 1.7 | 0.7 | 0.1 | -0.5 | 0.7 | 0 | 0.2 | 1.7 | -1 | -1.5 | 1.7 | -0.7 | 3.1 |
| 2014 | 0.9 | 0.8 | 0 | 0.2 | 0.3 | 0.6 | 3 | 1.1 | -2.3 | 1.5 | -1.4 | -6.7 | -2.3 |
| 2015 | -1.3 | 1.4 | 0.4 | 0.5 | -0.3 | 0.8 | 0.7 | -1.1 | 0.9 | -1.7 | 1.5 | 0 | 1.7 |
| 2016 | -1.8 | 7.3 | -0.2 | 1 | -2.2 | 0.8 | 0.1 | -0.7 | 2.2 | 0.4 | 0.1 | -1.7 | 5.3 |
| 2017 | 0 | -2.7 | -1.8 | 0.1 | -1.4 | 0.1 | 0.1 | 0.4 | 0.9 | -1.1 | -1.1 | -0.6 | -6.8 |
| 2018 | -1.3 | -0.8 | 1.9 | 0 | -1.9 | -0.5 | 1.3 | -1.3 | -0.6 | 1.8 | 1.7 | -1.9 | -1.8 |
| 2019 | -0.7 | -0.3 | -1.1 | 0.3 | -0.7 | -0.6 | -0.5 | 0.5 | 0.8 | 1.1 | 0.5 | 0.8 | 0.2 |
| 2020 | -0.1 | -8.2 | -11.1 | -5.2 | 4.6 | 0.6 | -1.7 | -1.5 | 2.2 | -2.9 | -0.6 | -0.6 | -22.8 |
| 2021 | 5.2 | 0 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-25 20 SPY 152. 0.0042 -0.0061 0.0136 0.0449 0.202 0.376 0.378 GLD 64.9 0.00290 -0.0089
2 2007-05-29 20.2 SPY 152. 0.0036 -0.002 0.0181 0.0913 0.192 0.361 0.401 GLD 65.1 0.002 -0.0091
3 2007-05-30 20.3 SPY 153. 0.0081 0.007 0.035 0.0891 0.196 0.367 0.420 GLD 64.7 -0.0054 -0.0077
4 2007-05-31 20.5 SPY 153. -0.001 0.00580 0.0313 0.0912 0.216 0.358 0.429 GLD 65.5 0.0127 0
5 2007-06-01 20.6 SPY 154. 0.005 0.02 0.0304 0.111 0.208 0.365 0.44 GLD 66.4 0.0137 0.0261
6 2007-06-04 20.5 SPY 154. 0.0001 0.0159 0.0249 0.122 0.197 0.367 0.437 GLD 66.5 0.0015 0.0246
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
